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Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - 2009

This paper compares various forecasts using panel data with spatial error correlation. The true data generating process is assumed to be a simple error component regression model with spatial remainder disturbances of the autoregressive or moving average type. The best linear unbiased predictor...

Persistent link: https://www.econbiz.de/10010268987

Forecasting Time Series Subject to Multiple Structural Breaks

Timmermann, Allan; Pettenuzzo, Davide; Pesaran, … - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Persistent link: https://www.econbiz.de/10010276180

Prediction markets for economic forecasting

Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - 2012

Prediction markets - markets used to forecast future events - have been used to accurately forecast the outcome of political contests, sporting events, and, occasionally, economic outcomes. This chapter summarizes the latest research on prediction markets in order to further their utilization by...

Persistent link: https://www.econbiz.de/10010287666

Oil exports and the Iranian economy

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, … - 2009

with a coefficient equal to the share of capital. The long run theory is tested using a new quarterly data set on the …: an output equation as predicted by the theory and a standard real money demand equation with inflation acting as a proxy …

Persistent link: https://www.econbiz.de/10010276267

On the estimation and forecasting of international migration: how relevant is heterogeneity across countries?

Brücker, Herbert; Siliverstovs, Boriss - 2005

This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than … estimates of the migration function. Out-of-sample forecasting results indicate the following: (i) the standard fixed effects … variables estimators, (iv) forecasting performance of heterogenous estimators is mediocre in our data set. …

Persistent link: https://www.econbiz.de/10010267584

Do Wages Really Compensate for Risk Aversion and Skewness Affection?

Hartog, Joop; Vijverberg, Wim P. M. - 2002

Utility theory suggests that foreseeable risk should increase the compensation for work. This paper expands on this … notion: on basis of utility theory, people should care not only about risk but also about the skewness in the distribution of …

Persistent link: https://www.econbiz.de/10010262821

Analytical Prediction of Transitions Probabilities in the Conditional Logit Model

Bonin, Holger; Schneider, Hilmar - 2004

The paper derives analytical transitions probabilities following an exogenous shock to the deterministic component in the conditional logit model. The solution draws on the postestimation distribution of the models stochastic component, identified on the basis of a direct utility maximization...

Persistent link: https://www.econbiz.de/10010261783

Is entrepreneurial success predictable? An ex-ante analysis of the character-based approach

Caliendo, Marco; Kritikos, Alexander S. - 2007

is slightly better than that of the questionnaire, but lower than expected in theory. Interestingly, for those subgroups …

Persistent link: https://www.econbiz.de/10010268415

Predictability of asset returns and the efficient market hypothesis

Pesaran, Mohammad Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10010276268

How prediction markets can save event studies

Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - 2011

This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions - from the economic effects of party control of government...

Persistent link: https://www.econbiz.de/10010278809